89 citations · 212 across the 27 of their papers we have counts for
5 papers · 1 filter
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…
Optimal investment and consumption under forward utilities with relative performance concerns
Guillaume Broux-Quemerais, Anis Matoussi, Zhou Chao
We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumpti…
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. T…
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class…
Utility Maximization Problem with Uncertainty and a Jump Setting
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove…